Study week on the econometric approach to development planning

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Monograph

Identifikator:: 1824422792

URN:: urn:nbn:de:zbw-retromon-217476

Document type:: Monograph

Title:: Study week on the econometric approach to development planning

Place of publication:: Amsterdam [u.a.]

Publisher:: North-Holland Publ. Co. [u.a.]

Year of publication:: 1965

Scope:: XLVII, 1259 S.; graph. Darst.

Digitisation:: 2022

Collection:: Economics Books

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Document type:: Monograph

Structure type:: Chapter

Title:: Dynamic structure and estimation in economy-wide econometric models / FranklinM. Fisher, Massachuetts Institute of Technology - Cambridge, Mass. - U.S.A.

Collection:: Economics Books

SEMAINE D ETUDE SUR LE ROLE DE L ANALYSE ECONOMETRIQUE ETC. 425 to unity in absolute value). In such cases, one will not be wil ling to assume that the use of endogenous variables lagged one period as instruments in higher-numbered sectors leads to only negligible inconsistencies. Accordingly, we must generalize our discussion. Fortunately, this is easy to do. There clearly does exist a smallest 6*>o such that for all 6°>6* even the diagonal blocks of V(0*) are negligible on any given standard. Consider W(6*), the covariance matrix of the elements of #, and those of y,_,» with the columns corresponding to elements of w, and the rows to elements of Clearly, (5.26) Tr + + JV _ e= 0% 1 ; 0-6" DB) DV(e) PH" P DONO Since D is block-triangular and V(6*) block-diagonal by (5.19), the product, DV(6*), is also block-triangular. Considering W(6*)# for ]>1, it is apparent that the covariances of endo- genous variables lagged 6* periods and current disturbances from higher-numbered sectors are made up of only negligible terms. Not only is V(8) negligible by assumption for 6>>6% but also every such term involves at least one power of H, which, by assumption, is diagonal and has diagonal elements less than unity in absolute value. Note, however, that a similar statement is clearly false as regards the covariances of endogenous variables lagged 6* periods and current disturbances from the same or lower-num- bered sectors. Such covariances involve the non-zero diagonal blocks of V(0*) in an essential way. It follows that the order of inconsistency, so to speak, involved in using endogenous variables lagged a given number of periods as instruments is less if such variables are used in higher-numbered sectors than if they are used in the same or lower-numbered sectors. To put it another way, the minimum lag with which it is reasonably 61 Fisher - pag. +1

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